7.2 DATA
In this study, we analyze investor trading data drawn from four sources: a large discount brokerage, a small discount brokerage, a large full-service brokerage, and the Plexus Group (a consulting firm that tracks the trading of professional money managers for institutional clients).
The first dataset for this research was provided by a large discount brokerage firm. It includes trading and position records for the investments of 78,000 households from January 1991 through December 1996.6 The data include all accounts opened by each household at this discount brokerage firm. Sampled households were required to have an open account with the discount brokerage firm during 1991. Roughly half of the accounts in our analysis were opened prior to 1987, and half were opened between 1987 and 1991.
In this research, we focus on investors' common stock purchases and sales. We exclude from the current analysis investments in mutual funds (both open-end and closed-end), American depository receipts (ADRs), warrants, and options. Of the 78,000 households sampled from the large discount brokerage, 66,465 had positions in common stocks during at least one month; the remaining accounts held either cash or investments in other than individual common stocks. Roughly 60% of the market value in these households' accounts was held in common stocks. There were more than 3 million trades in all securities; common stocks accounted for slightly more than 60% of all trades. In December 1996, these ...
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